I am using urca package of R for Johansen Cointegration test in 2 stocks datas( A and B.
My question is very elementar, but have cause some problems for me. How I interpret the critical values, for exemple,
H1 <- ca.jo(ll,type = "eigen", ecdet= "const", K = 4,spec = "longrun") produce:
Values of teststatistic and critical values of test: test 10pct 5pct 1pct r <= 1 | 6.39 7.52 9.24 12.97 r = 0 | 11.62 13.75 15.67 20.20
1 - In this case, for 10pct I have 11.62 < 13.75, then I can accept the hipotesis that A and B is not co-intregrate ? (whatever if for r <= 1 test is smaller that critical value ?).
2 - If for result in Trace statistic I find that A and B is cointegrate and for eigenvalue test A and B is not ? what does that mean it ? I reject the result of Trace Statistics in this case and admit A and Bnot cointegrate ?